A parameter estimator based on Smoluchowski-Kramers approximation
Statistics Theory
2018-09-28 v1 Statistics Theory
Abstract
We devise a simplified parameter estimator for a second order stochastic differential equation by a first order system based on the Smoluchowski-Kramers approximation. We establish the consistency of the estimator by using {\Gamma}-convergence theory. We further illus- trate our estimation method by an experimentally studied movement model of a colloidal particle immersed in water under conservative force and constant diffusion.
Cite
@article{arxiv.1809.10394,
title = {A parameter estimator based on Smoluchowski-Kramers approximation},
author = {Ziying He and Jinqiao Duan and Xiujun Cheng},
journal= {arXiv preprint arXiv:1809.10394},
year = {2018}
}